24#ifndef quantlib_yoy_optionlet_volatility_structures_hpp
25#define quantlib_yoy_optionlet_volatility_structures_hpp
67 bool extrapolate =
false)
const;
72 bool extrapolate =
false)
const;
96 bool extrapolate =
false)
const;
101 bool extrapolate =
false)
const;
126 "Base volatility, for baseDate(), not set.");
138 Rate strike)
const = 0;
Constant surface, no K or T dependence.
Handle< Quote > volatility_
Real minStrike() const override
the minimum strike for which the term structure can return vols
Volatility volatilityImpl(Time length, Rate strike) const override
implements the actual volatility calculation in derived classes
Date maxDate() const override
the latest date for which the curve can return values
Real maxStrike() const override
the maximum strike for which the term structure can return vols
static Date maxDate()
latest allowed date
Shared handle to an observable.
template class providing a null value for a given type.
virtual Natural settlementDays() const
the settlementDays used for reference date calculation
Volatility term structure.
Real minStrike() const override=0
the minimum strike for which the term structure can return vols
virtual Volatility volatilityImpl(Time length, Rate strike) const =0
virtual Time timeFromBase(const Date &date, const Period &obsLag=Period(-1, Days)) const
base date will be in the past because of observation lag
~YoYOptionletVolatilitySurface() override=default
virtual Volatility baseLevel() const
virtual Period observationLag() const
bool indexIsInterpolated_
virtual bool indexIsInterpolated() const
virtual Date baseDate() const
virtual Frequency frequency() const
virtual void checkRange(const Date &, Rate strike, bool extrapolate) const
virtual VolatilityType volatilityType() const
Returns the volatility type.
virtual void setBaseLevel(Volatility v)
virtual Volatility totalVariance(const Date &exerciseDate, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const
Returns the total integrated variance for a given exercise date and strike rate.
virtual Real displacement() const
Returns the displacement for lognormal volatilities.
Real maxStrike() const override=0
the maximum strike for which the term structure can return vols
Volatility volatility(const Date &maturityDate, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const
#define QL_REQUIRE(condition, message)
throw an error if the given pre-condition is not verified
Frequency
Frequency of events.
BusinessDayConvention
Business Day conventions.
Real Time
continuous quantity with 1-year units
unsigned QL_INTEGER Natural
positive integer
Real Volatility
volatility
base class for 1-D interpolations
ext::shared_ptr< BlackVolTermStructure > v
purely virtual base class for market observables
Volatility term structure.